Description Usage Details Examples
A dataset for examples in the attribution functions.
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Contains 3 xts objects, a data frame and a matrix.
'attrib.returns' - xts object with portfolio returns (9 stocks and one bond), benchmark returns (S\&P 500 total returns and 3-month treasury bills), total portfolio returns and total benchmark returns, risk-free rates, portfolio and benchmark returns in the local currency, benchmark returns hedged into the corresponding currency; portfolio and benchmark duration for the portfolio with bonds. Quarterly returns for all series end in the fourth quarter of 2008 and begin in the second quarter of 2007
'attrib.weights' - matrix with portfolio weights, benchmark weights, portfolio weights of currency forward contract in the corresponding currencies and benchmark weights of currenccy forward contract in the corresponding currencies
'attrib.hierarchy' - data frame with portfolio hierarchy
'attrib.currency' - xts object with forward and spot rates for currency contracts. Contains data for one more period than returns in order to compute corresponding currency returns and currency surprises
'attrib.allocation' - xts with allocation effects for the above mentioned portfolio and benchmark of the same length as portfolio returns
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